This study explores the sensitivity of REIT performance to changes in short and long term interest rates. Utilising data from the Australian market over a 20 year period spanning multiple cycles, highly leveraged funds were found to exhibit a greater sensitivity to adverse movements in long term interest rates compared to those with lower leverage. This suggests that gearing levels and by extension costs of debt, do play a significant role in the returns generating process. Conversely, highly leveraged funds performed better under rising short term interest rates compared to those with lower leverage, which may be a result of improved rental yields associated with periods of economic growth. Lastly fund performance was found to be adversely affected by one period ahead inflation suggesting that capital markets are forward looking in nature and actively incorporate future economic trends into current asset pricing.